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| Author: | Ahn, D-H. Cao, H.H. Chrétien, S. |
| Title: | Portfolio performance measurement: a no arbitrage bounds approach |
| Journal: | European Financial Management
2009 : MAR, VOL. 15:2, p. 298-339 |
| Index terms: | arbitrage performance measurement portfolio investment unit trusts |
| Language: | eng |
| Abstract: | A new method to examine the performance evaluation of mutual funds in incomplete markets is presented in this article. Bounds are developed on admissible performance measures based on the no arbitrage condition. New ways of ranking mutual funds are suggested and a diagnostic instrument for evaluating the admissibility of candidate performance measures is provided. A monthly sample of 320 equity funds is used to show that admissible performance values can vary widely, supporting the casual observation that investors disagree on the evaluation of mutual funds. |
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